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extract export from backtest function

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This commit is contained in:
xmatthias 2018-06-12 22:29:30 +02:00
parent bfde33c945
commit e3ced7c15e
1 changed files with 23 additions and 24 deletions
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47
freqtrade/optimize/backtesting.py
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@ -112,6 +112,21 @@ class Backtesting(object):
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
records = []
print(results)
for index, trade_entry in results.iterrows():
pass
records.append((trade_entry.pair, trade_entry.profit_percent,
trade_entry.open_time.timestamp(),
trade_entry.close_time.timestamp(),
trade_entry.open_index - 1, trade_entry.trade_duration))
if records:
logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
def _get_sell_trade_entry(
self, pair: str, buy_row: DataFrame,
partial_ticker: List, trade_count_lock: Dict, args: Dict) -> Optional[BacktestResult]:
@ -144,8 +159,8 @@ class Backtesting(object):
open_time=buy_row.date,
close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.index,
close_index=sell_row.index,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False
)
if partial_ticker:
@ -157,8 +172,8 @@ class Backtesting(object):
open_time=buy_row.date,
close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.index,
close_index=sell_row.index,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True
)
logger.info('Force_selling still open trade %s with %s perc - %s', btr.pair,
@ -179,17 +194,12 @@ class Backtesting(object):
processed: a processed dictionary with format {pair, data}
max_open_trades: maximum number of concurrent trades (default: 0, disabled)
realistic: do we try to simulate realistic trades? (default: True)
sell_profit_only: sell if profit only
use_sell_signal: act on sell-signal
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
record = args.get('record', None)
recordfilename = args.get('recordfn', 'backtest-result.json')
records = []
trades = []
trade_count_lock: Dict = {}
for pair, pair_data in processed.items():
@ -229,24 +239,11 @@ class Backtesting(object):
if trade_entry:
lock_pair_until = trade_entry.close_time
trades.append(trade_entry)
if record:
# Note, need to be json.dump friendly
# record a tuple of pair, current_profit_percent,
# entry-date, duration
records.append((pair, trade_entry.profit_percent,
trade_entry.open_time.timestamp(),
trade_entry.close_time.timestamp(),
index, trade_entry.trade_duration))
else:
# Set lock_pair_until to end of testing period if trade could not be closed
# This happens only if the buy-signal was with the last candle
lock_pair_until = ticker_data.iloc[-1].date
# For now export inside backtest(), maybe change so that backtest()
# returns a tuple like: (dataframe, records, logs, etc)
if record and record.find('trades') >= 0:
logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
return DataFrame.from_records(trades, columns=BacktestResult._fields)
def start(self) -> None:
@ -301,10 +298,12 @@ class Backtesting(object):
'processed': preprocessed,
'max_open_trades': max_open_trades,
'realistic': self.config.get('realistic_simulation', False),
'record': self.config.get('export'),
'recordfn': self.config.get('exportfilename'),
}
)
if self.config.get('export', False):
self._store_backtest_result(self.config.get('exportfilename'), results)
logger.info(
'\n==================================== '
'BACKTESTING REPORT'